By Daniel R?sch; Harald Scheule
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Extra resources for Credit Securitisations and Derivatives : Challenges for the Global Markets
Did subjectivity play a role in CDO credit ratings? Forthcoming Journal of Finance. International Swaps and Derivative Association 2009. ISDA Market Survey Historical Data. org. Moody’s 2006. 3 User Guide. , 2005. A multi-factor approach for systematic default and recovery risk. Journal of Fixed Income, 15(2), 63–75. , 2010. Downturn credit portfolio risk, regulatory capital and prudential incentives. International Review of Finance, 10(2), 185–207. , 2012. Capital Incentives and Adequacy for Securitizations, 2012.
Due to the increasing demand for European ABS structures both ABS markets (US and Europe) exhibit a comparable level in issuance, which also underlines the emergence of Europe as one of the major global security markets. Similar developments may be observed with regard to MBS markets (lower graph). Until 2010 the US MBS issuance was dominating the respective European one in absolute pattern. Interestingly, after the US issuance peak in 2003 (over 3,179 USD bn) the volume declined to 1,924 USD bn in 2004, but varies around 2,000 USD bn, with the exception of 2008, where the issuance fell to 1,403 USD bn, which was about 37% less volume than in the previous year.
However, we observe a decrease of almost 47% in new impairments in comparison to the previous year in total across the reported ABS classes. The decrease of impairments from absolute 2,496 to 304 (about 88%) is even higher in the global CDO market. 5 shows the proportion of outstanding ratings across the reported ABS classes for January 2007 and 2010 (compare Moody’s, 2008, 2011). Moody’s (2011) reports that the number of new ratings by closing year exponentially increased from 1993 to 2006 and reached its peak in 2006 with over 27,000 ratings.